Agar is widely available, sometimes disguised as "vegetable gelatine". You should be able to find agar and xanthan at natural food stores and at places specializing in low carb diet foods. Sodium chloride is just ordinary table salt.

try contacting rob mifsud blogger/food writer of "hungry in hogtown" as he's a regular ferran adria recipe experimentor and has been able to get mg type ingredients in the past.

now for a potential direct link... http://foodsupplies.ca/ offers a variety of raw materials. i didn't notice calcium chloride specfically but they might be able to help you out. i did notice that they only really seem to do large quantities (25kg) so they might not be right for you.

Calcium chloride is the "high end", less damaging salt sold for melting ice (though I doubt that any of the stuff sold at Crappy Tire is safe for use with food). Pure CC can make ice boil (or at least appear to). Interesting stuff.

I've used agar and xanthan at various times, but never in an "MG" kind of way. I have no experience with alginate.

Agar is actually really easy to find at any asian supermarket. A lot of thai/malay/japanese sweets actually call for agar instead of gelatin. T+T is always my first stop for that. Thing is, I think in most of these places the agar comes in the sheet/natural form, as opposed to a powder. OH! and Xanthan Gum I think is avaliable at baking supplies stores!